I use shavings with straw on top, then graduate to all shavings after a week or so.
The following is my opinion, and my opinion only due to personal experiences........
IMO----I will NEVER use pelleted bedding on a young horse again. I had a foal two years ago that dug through the powdered pellets (had already been fully expanded) to find the pellets that weren't expanded. She ate them and got a deadly impaction, she apparently was swallowing chunks of the smaller pellets and once water hit those little chunks forget it,contacted the company, because the bag says it is 100% safe, all the workers at the store said it was 100% safe, the manufacturer said they would work with their marketing to put some type of label on the bag. Never happened of course.
The bag states that you should not worry, if your animal tries some they will find them unappealing and spit them out, hmmmmm, baby mini, much smaller intestinal track than a full size foal, and they put their mouths on everything. For God's sake, they will even lick rocks, simply because they can.